VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Applications of the discrete element method in mechanical engineering

Compared to other fields of engineering, in mechanical engineering, the Discrete Element Method (DEM) is not yet a well known method. Nevertheless, there is a variety of simulation problems where the method has obvious advantages due to its meshless nature. For problems where several free bodies can collide and break after having been largely deformed, the DEM is the method of choice. Neighborhood search and collision detection between bodies as well as the separation of large solids into smaller particles are naturally incorporated in the method. The main DEM algorithm consists of a relatively simple loop that basically contains the three substeps contact detection, force computation and integration. However, there exists a large variety of different algorithms to choose the substeps to compose the optimal method for a given problem. In this contribution, we describe the dynamics of particle systems together with appropriate numerical integration schemes and give an overview over different types of particle interactions that can be composed to adapt the method to fit to a given simulation problem. Surface triangulations are used to model complicated, non-convex bodies in contact with particle systems. The capabilities of the method are finally demonstrated by means of application examples. Commemorative Contribution.     

实用户外视频监控异常检测策略

树枝叶等植物的晃动是造成户外监控背景复杂性的主要因素。该文提出一种基于视频分析的运动对象检测策略，利用快慢双背射模型检测运动变化像素，并通过邻域像素的棚关性检测消除虚假运动对象。实验表明此算法对户外监控不但速度快而且检测效果理想，满足实用化要求。     

The incompatibility of knowledge regimes: consequences of the material world for cross-domain work

In this paper, we argue that successful integration of knowledge across work domains in the short-term can mask the generation of long-term consequences. We explore a setting, the introduction of environmental considerations into semiconductor manufacturing, where the eventual adoption of common measurement artifacts and associated practices enabled knowledge integration, but failed to address significant underlying consequences. Drawing from observational, interview, and archival data we develop an understanding of the work practices of the Tech and EnviroTech groups as structured by the material world and broader collective conventions. We introduce the concept of knowledge regime to outline the differences in knowledge across these work domains. More specifically, we find that differences in the causal specificity and developmental time horizon of knowledge and the measurement artifacts that result contribute to the relative power of one knowledge regime over another. Understanding these sources of incompatibility provides insight into the design requirements of information systems as boundary objects for knowledge integration, but also specifies the potential limits to any design effort.     

矿石中金的快速测定

研究了活性炭纤维滤布富集分离的条件和解脱方法,并利用微波溶样、液珠萃取比色法测定矿石中的金。该方法的测定范围为(0.5~xx)×10-6,相对标准偏差RSD为3.2%,可用于矿石中金的野外快速测定。